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Results tagged with unbiased-estimator
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user 31978
Refers to an estimator of a population parameter that "hits the true value" on average. That is, a function of the observed data $\hat{\theta}$ is an unbiased estimator of a parameter $\theta$ if $E(\hat{\theta}) = \theta$. The simplest example of an unbiased estimator is the sample mean as an estimator of the population mean.
28
votes
Accepted
Understanding bias-variance tradeoff derivation
You are not wrong, but you made an error in one step since $E[(f(x)-f_k(x))^2] \ne Var(f_k(x))$. Instead, $E[(f(x)-f_k(x))^2]$ is $\text{MSE}(f_k(x)) = Var(f_k(x)) + \text{Bias}^2(f_k(x))$.
\begin{ali …
- 16k
4
votes
Accepted
Expected value of an estimate done using Gibbs sampling
If the Gibbs sampler has not converged as yet, then $x_s$ is not a draw from the equilibrium distribution. Thus the expectation is not calculated with respect to the equilibrium distribution. Let $P^s …
- 16k
23
votes
Inference after using Lasso for variable selection
Generally, refitting using no penalty after having done variable selection via the Lasso is considered "cheating" since you have already looked at the data and the resulting p-values and confidence in …
- 16k